Friday Chart Book
De-Risking / Central Bank Week / 250+ Chart Updates
Oh boy, that really escalated quickly. This time, without much talk or threats from our esteemed politicians. Is the good old macro back? I certainly hope so. What started with volatility in metals a week ago has spread to equities and, surprisingly, even bonds. A combination of stretched and levered consensus positioning, along with higher volatility and increased cross-asset correlations, has triggered a de-risking across the board. Long-short equity funds are especially feeling the brunt of this. Below is the momentum pair index (long vs short momentum), which had a good start to the year until the middle of this week. All of this is a classic de-risking move.
Likewise, the growth vs value ratio gained steam, with the index plunging the most since March of last year. This looks like forced liquidation.
Rate volatility (implied) has seen itself at its bottom over the past 12 months, but has now reached levels last seen in December. Volatility is still relatively cheap if you want to express directional views.
Silver has retraced a cool 44% from the highs only a week ago. The 100-day MA support comes in around 63.
I don’t know about you, but I like markets like this. In fact, I anticipated a higher-volatility regime and prepared accordingly. This is evidence, as my esteemed readers will know, of how I constructed a buy-and-hold portfolio designed to weather the storms of an entire year. So far YTD, we are up around 6% (Thursday’s performance is not included in the chart below, but is set to be around-0.5%). The chart below shows performance relative to the SPX (blue line), which is now in negative territory. So far, the portfolio does behave as intended, but nothing is guaranteed. I expect a bit of consolidation after those violent moves and continued choppy market conditions as positions and risk need to adjust. The opportunity set is increasing; that’s the exciting part. I will share more thoughts over the weekend.
Many of the moves have been accentuated by fears around AI and the Capex cycle. In addition, somewhat weaker labour market data on Thursday didn’t help the move and front 13 bps (SFRZ6) in two trading sessions.
Bitcoin has been in a downtrend for a while, but it has held above 80k for a few weeks. The violent and decisive break below recent support has triggered a cascading liquidation, with the 60k area, which was the breakout zone around the 2024 election, now firmly in focus. My momentum model has been short BTC from north of 80k. For more details, see the chart section further below.
A reminder that you can use my trading models in TradingView scripts, which I made available for subscribers to use on their charts. This is not free and incurs an additional cost. These are my momentum, reversal and intra-day models I am often referencing. If you are interested, ping me an email with your TV username. Note that only paying subscribers will be granted access. No exceptions.
Let’s now read some of my friend Macro D’s detailed thoughts on the RBA, the BoE and ECB, and his preferred macro FX expressions, before we go through the entire chart book, comprising 250+ charts of the whole macro universe (Equity Index and single names, Sector ETFs, Rates, Curves, FX, Commodities and Crypto).
Have a blessed weekend!
